Download characteristic-managed portfolio returns ("factors"), underlying portfolio sorts, industry returns, stock-level data, and supporting reference files from the Jensen, Kelly, and Pedersen (2023) dataset. See documentation for details. Your selections are saved in the URL. Bookmark this page at any time to return to where you left off.
Download characteristic-managed portfolio ("factor") returns for 153 characteristics in 13 themes, using data from 93 countries and four regions. Returns are excess returns in USD.
Download the underlying sorted portfolios (pf=1 low, pf=2 mid, pf=3 high) that comprise each long-short factor.
Returns by industry classification. GICS is available for all countries; Fama-French 49 is US only.
Monthly stock-level characteristics data is available via WRDS (Wharton Research Data Services). Access requires a WRDS subscription through your institution.
Supporting reference data files for replication and research.